8.2 Multidimensional Finite Difference Kalman Filters
8.2.1 Multidimensional Finite Difference State Prediction
In manner similar to the approach taken in the one-dimensional case, we first repeat the multidimensional state prediction equation developed for the EKF given by (7.33)
where ej is a unit vector along the Cartesian axis of the j th dimension and q is a step size that must be finite, real, and greater than zero.
leads to the identities
Here, is a free parameter that determines the value of q. To maintain q as finite, real, and greater than zero, we must restrict to the ...